Thanks for the hint.
I removed the outer try { … } catch { … } of the InitializeSoundEffect method you pointed me to.
Thus, I was able to find out that
SharpDX.SharpDXException: Class not registered
is thrown for
Device = new XAudio2(XAudio2Flags.None, ProcessorSpecifier.DefaultProcessor);
And some investigation pointed me towards a DirectX component not being installed.
After I run the DirectX web installer, the sound was playing.
This did not change the actual DirectX11 runtime (“DXDiag.txt” identical before & after).
Beware, entering guessing territory again:
The DirectX web installer did seem to install DirectX SDKs.
If this observation is any better than the previous one with the multiple sound devices (cough), it seems that the XAudio2 SDK is necessary even for XAudio2Flags.None, not only for XAudio2Flags.DebugEngine.
Thus, you should be able to reproduce the missing sound on any machine which has just the “basic” DirectX11, but not the SDKs installed.